The bridge will provide a safe route across the tracks Network Rail said.
The original pedestrian crossing which linked Braybrooke Road to Glebe Road, has been closed since August 2015.
Rob McIntosh, route managing director at Network Rail, said: “We’re delighted that work has begun on this important project.
“We’d like to thank residents for their patience whilst this project takes place and we look forward to them reaping the benefits.”
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Local county and district councillor Sarah Hill said: “It’s great to see the bridge finally happen. It’s just a shame it’s taken three years for people to get the bridge they’ve wanted since Network Rail shut the crossing.”
Harborough MP Neil O’Brien said: “I have been chasing the Department for Transport to get on with building this bridge. I’m sure people locally will be pleased with this news.”